CBOERMC Archives - Cboe Blogs

The last presentation of the day today at CBOE’s Risk Management Conference also turned out to be one of the best. Boris Lerner, Head of US Quantitative and Derivative Strategies at Morgan Stanley and Arie Aboulafia, Senior Portfolio Manager from Capstone Investment Advisors teamed up to discuss “The Art of Hedging”. Many market participants have forgotten that there is a non-quantitative aspect to investing and trading since the industry has become so quantitative. This session[...]

Thursday, March 5, 2015
CBOE President and COO Edward Provost kicked off Day Two of RMC with an update on recent CBOE developments, highlighting the exchange’s efforts to broaden access to its marketplace and to expand and diversify its product offerings.
Provost began with an update on CBOE’s extended trading hours initiative. Last June, CFE implemented near 24-hour trading in VIX futures. Approximately 9 percent of all VIX futures trading[...]

On Wednesday at the 31st Annual CBOE Risk Management Conference, a joint presentation on a new study was delivered by Keith Black, Ph.D., CAIA, CFA, Managing Director, Curriculum and Exams, Chartered Alternative Investment Analyst (CAIA) Association. (Edward Szado, Assistant Professor of Finance, Providence College was scheduled to be on the panel with Dr. Black, but was delayed by weather on the East Coast and unable to attend).
Early this year Dr. Black and Dr. Szado published their new groundbreaking[...]

On Wednesday at the 31st Annual CBOE Risk Management Conference, a presentation on a new study was delivered by Keith Black, Ph.D., CAIA, CFA, Managing Director, Curriculum and Exams, Chartered Alternative Investment Analyst (CAIA) Association. (Edward Szado, Assistant Professor of Finance, Providence College was scheduled to appear with Dr. Black but was delayed by bad weather).
Early this year Dr. Black and Dr. Szado published their new groundbreaking study - Performance Analysis of Options-Based[...]

On Wednesday at the Risk Management Conference (RMC), a presentation on New CBOE Options-Based Benchmark Indexes was William Speth, Vice President, Research and Product Development, CBOE.
Mr. Speth made a number of points, including --
CBOE now offers benchmark indexes with systematic use of options / futures to achieve an investment objective such as (1) Enhance Yield, with e.g., CBOE® S&P 500® BuyWrite Index (BXMSM), and CBOE® Russell 2000® BuyWrite Index (BXR), and (2)[...]

The 31st edition of the CBOE Risk Management Conference kicked off today with a very educational session from Bruno Dupire who is the Head of Quantitative Research at Bloomberg. His discussion centered on trading volatility which is a core theme of many presentations that will be given over the next few days here in Carlsbad. The timing of Dupire going first at the conference was perfect as his sessions are always as educational as they are informative. (The Twitter handle for this conference[...]

On Wednesday at the 31st Annual CBOE Risk Management Conference in California, Ms. Berlinda Liu, Director of Index Research and Design, S&P Dow Jones Indices, delivered a presentation entitled Deciphering VIX Futures Term Structure.
In her presentation Ms. Liu noted that --
When VIX is in Contango, the term structure is upward sloping; Shorter-term futures are cheaper than longer-term futures; Long positions suffer from roll cost; and Short positions collect positive carry.
When VIX is in Backwardation,[...]

This afternoon at the CBOE Risk Management Conference in Carlsbad, CA Amna Qaiser, Portfolio Manager from Goldman Sachs Asset Management and Olivier Sarfati, Head of US Trading Strategies from Citigroup teamed up to discuss backtesting strategies. Backtesting has always been a difficult subject for portfolio managers and traders as backtested results do not always work as well as hoped when the strategy goes live.
Qaiser’s part of this session discussed potential pitfalls but also laid out[...]

On Wednesday at the 31st Annual Risk Management Conference (RMC) in California, Samuel Kadziela, Director of Education at Chicago Trading Company, delivered a presentation entitled Primer on Volatility Analysis and Trading Strategies.
Mr. Kadziela noted that --
Realized volatility is the volatility of the underlying contract over some period of time;
Implied volatility is derived from the prices of options in the marketplace, and reflects the marketplace’s consensus expectation of future volatility.
Traditional[...]

Zachary Karabell delivered the keynote address this morning at the 31st Annual CBOE Risk Management Conference in Carlsbad, CA. Karabell holds the position as President of River Twice Research but is also a prolific writer acting as a contributing columnist to Reuters, The Atlantic, Slate, The Washington Post, Time, and The Wall Street Journal. In the past Karabell has written on a wide variety of topics ranging from religion, history, and politics. His most recently book, The Leading Indicators:[...]

ADP Job growth came in lighter than expected for February at a 212K rate (~220K expected). India and Poland cut interest rates, China cut overnight rate. Commodities in a tight range. March 4th Chicago's birthday. Bob Evans (BOBO, off $12.00) decides not to spin off part of chain. CBOE RMC kicks off in a few hours. #CBOERMC to follow. Volatility as an asset class
Target (TGT) is off $0.25 $77.75 in the premarket on plans to eliminate several thousand[...]

I received two inquiries this morning about CBOE's 31st Annual Risk Management Conference (RMC), March 4 - 6, 2015 in Carlsbad, California. It is being held at the Park Hyatt Aviara, along the Pacific Ocean, 25 miles North of San Diego California.
The agenda, topics, speakers and registration forms are available at http://www.cboermc/agenda. There is still some space available at CBOE RMC.
This is considered the premiere financial industry conference designed for institutional users of[...]

Day Three of the 31st Annual CBOE Risk Management Conference (RMC) on March 6th at the Hyatt Aviara in Carlsbad, California, has a terrific lineup scheduled. RMC is well known as the premier educational forum for option professionals looking to enhance their knowledge on using equity derivatives and volatility products to manage risk. This three-day conference 20-minutes North of San Diego should be very worthwhile. The agenda with a list of topics and speakers for Sessions One[...]

As you know, CBOE’s 31st Annual Risk Management Conference (RMC) will be held March 4 – 6, 2015 at the Park Hyatt Aviara in Carlsbad, California, 25 miles North of San Diego. RMC is the premiere financial industry conference designed for institutional users of equity derivatives and volatility products.
RMC's agenda covers a variety of concepts, including how to employ hedging techniques for portfolios, utilizizing equity derivatives, and modeling and trading volatility. Topics[...]

Other Cboe Sites

Options involve risk and are not suitable for all investors. Prior to buying or selling an option, a person must receive a copy of Characteristics and Risks of Standardized Options (ODD). Copies of the ODD are available from your broker or from The Options Clearing Corporation, One North Wacker Drive, Suite 500, Chicago, Illinois 60606. The information on this website is provided solely for general education and information purposes and therefore should not be considered complete, precise, or current. Many of the matters discussed are subject to detailed rules, regulations, and statutory provisions which should be referred to for additional detail and are subject to changes that may not be reflected in the website information. No statement within the website should be construed as a recommendation to buy or sell a security or to provide investment advice. The inclusion of non-Cboe advertisements on the website should not be construed as an endorsement or an indication of the value of any product, service, or website. The Terms and Conditions govern use of this website and use of this website will be deemed acceptance of those Terms and Conditions.